XML 26 R16.htm IDEA: XBRL DOCUMENT v3.23.3
Fair Value Measurement
 9 Months Ended
Sep. 30, 2023
Fair Value Disclosures [Abstract]  
Fair Value Measurement Fair Value Measurement
The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis as of September 30, 2023 (Successor) and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine each asset's and each liability's fair value:
AssetsLevel 1Level 2Level 3Total
Short-term Investments$— $100,000 $— $100,000 
Total$— $100,000 $— $100,000 
LiabilitiesLevel 1Level 2Level 3Total
Public Warrants$37,420 $— $— $37,420 
Private Placement Warrants— — 103,114 103,114 
Earnout Shares— — 4,546 4,546 
Total$37,420 $— $107,660 $145,080 
The following table presents information about the Company’s liabilities that were measured at fair value on a recurring basis as of December 31, 2022 (Predecessor) and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine each liability's fair value:
LiabilitiesLevel 1Level 2Level 3Total
Option Liability$— $— $5,174 $5,174 
Total$— $— $5,174 $5,174 
The following table presents a reconciliation of the beginning and ending balances of recurring level 3 fair value measurements:
July 1 – September 30, 2023 (Successor)July 1 – September 30, 2022 (Predecessor)June 8 – September 30, 2023 (Successor)January 1 – June 7, 2023 (Predecessor)January 1 - September 30, 2022 (Predecessor)
Balance of recurring level 3 liabilities at beginning of period$63,187 $1,854 $63,851 $5,174 $1,459 
   Total gains and losses during the period included in
   Other Income (Expense)
52,352 — 51,688 — 395 
      Issuances(7,879)— (7,879)— — 
      Payments— — — (5,174)— 
      Transfers into level 3— — — — — 
      Transfers out of level 3— — — — — 
Balance of recurring level 3 liabilities at end of period$107,660 $1,854 $107,660 $— $1,854 
Earnout Shares - The fair values for the Earnout Shares are estimated using a Monte Carlo simulation. The Monte Carlo simulation considers daily simulated stock prices as a proxy for the Company's daily volume-weighted average share price. The key inputs into the valuation of the Earnout Shares are an expected term of 3 years, a risk-free rate of 4.8% and estimated equity volatility of 62.5%. The estimated equity volatility assumption is based on a blended average of asset and equity volatility measurements of publicly traded companies within the Company's peer group.
Warrants - The Public Warrants are valued using their quoted and publicly available market prices. Since their fair value is predicated on quoted prices in an active market for identical instruments, the Public Warrants are considered to be Level 1 fair value instruments because their price is observable.
The Company uses a Black-Scholes Merton Model to value the Private Placement Warrants. Key inputs into the Black-Scholes Merton Model include the Class A Common Stock closing price of $15.10 as of September 30, 2023 (Successor), the risk free rate of 4.5%, volatility of 64.0%, a term of 5 years and a strike price of $11.50 per share. The volatility assumption is based on a blended average of operating and equity volatility of publicly traded companies within the Company's peer group.The Private Placement Warrants are considered to be Level 3 fair value instruments because they are not traded on public markets; therefore, their price is not observable.
Short-term Investments - Short-term investments are valued at cost, which approximates fair value. Short-term investments are considered Level 2 fair value instruments because cost basis is not observable in a public market.
Option Liability - The Company’s option liability was issued in conjunction with member loans authorized on October 15, 2021. The loans were fully repaid on February 3, 2022. The interest expense related to these loans equaled $30 and $0 during the period from January 1, 2023 through June 7, 2023 (Predecessor) and the period from June 8, 2023 through September 30, 2023 (Successor), respectively. These measurements were reported in Interest income (expense) on the Consolidated Statements of Operations and Comprehensive Loss. On January 11, 2023, an option holder exercised its option to purchase membership interests associated with the member loan agreement. On February 3, 2023, another option holder also exercised its option to purchase membership interests associated with the member loan agreement. The Company issued 5,824 and 28,764 membership interests to the two option holders, respectively, and received an aggregate of $5,836 from the exercise of the options. No loan options are currently outstanding.